The Wiley Finance Series : Handbook of News Analytics in Finance

occur as a result of the arrival of information events. After each event, price changes as a result of traders responding to the ...

Macroeconomic news is also the most important source of information in Treasury bond markets (de Goeij and Marquering, 2006). Jo ...

encompasses. For SPI 200 Futures, trading volume is the total number of contracts traded in each 30-minute interval. In order to ...

such as the EGARCH model of Nelson (1991) and the Diagonal VECH and Diagonal BEKK models.^5 Finally, given that our sample perio ...

Firm-specific news arrival and the volatility of intraday stock index and futures returns 277 Table 12.1. Descriptive statistics ...

278 News and risk Table 12.1 (cont. ) Panel D: Absolute SPI 200 Futures return Mean 0.169 0.105 0.086 0.112 0.140 0.167 0.336 0. ...

trading volume and volatility. Moreover, news arrivals are still positively related to volatility even after controlling for the ...

280 News and risk Table 12.4. Company news announcements and intraday conditional volatility of the S&P/ASX 200 Index and th ...

when the EGARCH(1,1) model is estimated without any exogenous variable. Once the impact of news arrivals on conditional volatili ...

282 News and risk Table 12.5. Company news announcements and intraday conditional volatility of the S&P/ASX 200 Index and th ...

MDH, which attributes the time dependence of stock return volatility to that of information flows. The lagged trading volume als ...

284 News and risk Table 12.6. Company news announcements and intraday conditional volatility of the S&P/ASX 200 Index and th ...

does reflect to some degree the intensity of private information flows not accounted for byNt. The results are obtained based on ...

Diagonal VECH Mean equations: r 1 t¼r 1 t 1 þ 1 þ" 1 t; ð 12 : 5 Þ r 2 t¼r 2 t 1 þ 2 þ" 2 t; ð 12 : 6 Þ Variance equations: ...

Bollerslev T.; Chou R.Y.; Kroner K.F. (1992) ‘‘ARCH modelling in finance: A review of the theory and empirical evidence,’’Journa ...

Harris L. (1986) ‘‘A transactions data study of weekly and intraday patterns in stock returns,’’ Journal of Financial Economics, ...

Leela Mitra, Gautam Mitra, and Dan diBartolomeo ABSTRACT Multifactor models are often used as a tool to describe equity portfoli ...

varying degrees (factor sensitivities). By describing a group of asset returns through a set of key common factors, the size of ...

such as size, assets are sorted based on the value of the characteristic. Then a hedged portfolio is formed which is long in the ...

exposures. For statistical and macroeconomic models, exposures (hence changes in risk structure) are only updated when further d ...